Chatfield (1996) Chapter 2 (example: Rebel et al.

, 2012)

TIME SERIES ANALYSIS:

AUTOCORRELATION

Autocorrelation
The correlation of data with itself at different lags
Lag: difference between points in time
2 year lag
between values
1 year lag between values
6 month lag

Autocorrelation
The correlation of data with itself at different lags
Lag: difference between points in time
Pair is a given value and
the lagged value. Look
at ALL PAIRS in the time
series.
1 year lag between values

Autocorrelation
Autocorrelation Function (ACF):

( 1)

Autocorrelation coefficients measure the correlation

(if any) between observations at different distances
(lags in time) apart

Autocorrelation
Autocorrelation Function (ACF):

( 1)

Pearson Correlation (r):

Autocorrelation Plots
An autocorrelation plot is a plot of autocorrelation
for multiple lags
Autocorrelation coefficients are plotted against the lag

Correlation coefficients are calculated for

observations and observations at multiple lags

Original
Time Series

Value

Autocorrelation Plots

Autocorrelation
Plot

ACF

Time

Lag

Autocorrelation Example

Autocorrelation Example

Autocorrelation Plots
If the time series oscillates either side of its mean,
so the autocorrelation plot oscillates
If the time series contains a trend, correlations will
not reduce to zero
If the time series contains seasonal variation, the
autocorrelation will oscillate at the same frequency
Autocorrelation plots are useful in identifying a
suitable type of model for the data
e.g. AR, MA, ARMA, ARIMA, etc.